Quantization meets Fourier : a new technology for pricing options
Year of publication: |
2019
|
---|---|
Authors: | Callegaro, Giorgia ; Fiorin, Lucio ; Grasselli, Martino |
Published in: |
Application of operations research to financial markets. - New York, NY, USA : Springer. - 2019, p. 59-86
|
Subject: | Quantization | Characteristic function | Option pricing | Stochastic volatility | Jump processes | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
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